Portfolio Performance Evaluation: Old Issues and New Insights

• 成果类型: Article
• 署名作者: Grinblatt, Mark; Titman, Sheridan
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/2.3.393
• 发表日期: 1989
• 页码: 393
• 关键词: MUTUAL FUND PERFORMANCE; INVESTMENT PERFORMANCE; PRICING THEORY; INFORMATION; RISK

摘要

This article presents a model that provides insights about various measures of portfolio performance. The model explores several criticisms of these measures. These include the problem of identifying an appropriate benchmark portfolio, the possibility of overestimating risk because of market-timing ability, and the failure of informed investors to earn positive risk-adjusted returns because of increasing risk aversion. The article argues that these need not be serious impediments to performance evaluation.